Efisiensi Pasar Bentuk Lemah Pada Pasar Modal Indonesia, Malaysia dan Korea Selatan Periode Krisis Ekonomi Global 2008

Alia Tri Utami

Abstract


Abstract. This research empirically investigates the impact of the global economic crisis in 2008 on the efficiency of three Asian stock markets, namely the Indonesia Stock Exchange (IDX), the Malaysia Stock Exchange (MYX), and the Korea Stock Exchange (KRX) as an emerging market. Weak market form efficiency will be tested on this research. Using the daily closing price data of the composite index for 11 years which is divided into three periods, namely before the crisis (1 January 2006 — 30 June 2007), during the crisis (1 July 2007 - 31 December 2008), and after the crisis (1 January 2009 - 30 November 2017. This study applies parametric and non-parametric method with three statistical tests, namely Ljung - Box test, run test, and ADF test. The results of the study, show mixed results for various indices. Moreover, the results of this study can provide input to investors in investing in emerging stock markets.

 

Keywords: Market Efficiency; Emerging stock market; Efficient Market Hypothesis; Ljung - Box test; ADF test; Run test.

 

Abstrak. Penelitian ini secara empiris menyelidiki dampak krisis ekonomi global tahun 2008 terhadap efisiensi tiga pasar saham Asia, yaitu Bursa Efek Indonesia (BEI), Bursa Efek Malaysia (MYX), Bursa Efek Korea (KRX) sebagai emerging market. Efisiensi pasar bentuk lemah akan diuji pada penelitian ini. Menggunakan data harian indeks gabungan selama 11 tahun yang dibagi menjadi tiga periode yaitu sebelum krisis (1 Januari 2006 — 30 Juni 2007), saat krisis (1 Juli 2007 — 31 Desember 2008), dan setelah krisis (1 Januari 2009 — 30 November 2017. Penelitian ini menggunakan metode penelitian parametrik dan non parametrik dengan menerapkan tiga uji statistik yaitu Ljung — Box test, run test, dan uji ADF. Hasil penelitian, menunjukan mix results untuk berbagai indeks. Selain itu hasil penelitian ini memberikan masukan pada investor dalam berinvestasi di pasar modal berkembang.

 

Kata Kunci : Efisiensi Pasar Modal; pasar modal berkembang; hipotesis pasar efisien; Ljung Box test; ADF test; run test


Keywords


Market Efficiency; Emerging stock market; Efficient Market Hypothesis; Ljung - Box test; ADF test; Run test

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